Market liquidity and stock returns in the Norwegian stock market

被引：20

作者：

Leirvik, Thomas ^{[1
]}

Fiskerstrand, Sondre R. ^{[1
]}

Fjellvikas, Anders B. ^{[1
]}

机构：

[1] Nord Univ, Grad Sch Business, Univ Aleen 11, N-8049 Bodo, Norway

来源：

FINANCE RESEARCH LETTERS | 2017年 / 21卷

关键词：

Market liquidity; Stock returns; Stocks; Survivor bias free; Predictability; BID-ASK SPREAD; ILLIQUIDITY; RISK;

D O I：

10.1016/j.frl.2016.12.033

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the liquidity sensitivity of stock returns in the Norwegian stock market over the period 1983-2015. Even though the liquidity measures we apply are standard in the literature, we find no evidence of a relationship between returns and market liquidity. This is in strong contrast to the evidence of a significant sensitivity to liquidity in the US market, and suggest further analysis on the topic. (C) 2017 Elsevier Inc. All rights reserved.

引用

页码：272 / 276

页数：5

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